Yes there is a way.
In the Xerox print driver, when you choose Fax in the Job Type dropdown list, there is a window that popup to let you input the name and phone number. In that same window, look for the 'Option' tab in the top of the window. In that tab, the first option is 'Confirmation Sheet'. Choose 'Print a confirmation sheet' and you will be on your way!
It seems that there should be a setting to make that a default.
Have you looked at the user guide or admin guide on the product specific support site?
What model machine do you have?
I can fax from my pc through the driver fine but no confirmation sheet prints. Is there a way to make a confirmation sheet print for LAN Fax's?